A simple noniterative estimator for moving average models

DOI10.1093/biomet/81.1.143zbMath0800.62522OpenAlexW2061877026MaRDI QIDQ4299489

John W. Galbraith, Victoria Zinde-Walsh

Publication date: 4 July 1994

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/81.1.143

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

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A new preliminary estimator for MA(1) models ⋮ New exact ML estimation and inference for a Gaussian \(MA(1)\) process ⋮ Improved inference for moving average disturbances in nonlinear regression models ⋮ Asymptotics for estimation of quantile regressions with truncated infinite-dimensional proc\-ess\-es ⋮ COMMON FEATURES IN TIME SERIES WITH BOTH DETERMINISTIC AND STOCHASTIC SEASONALITY ⋮ ESTIMATION OF THE VECTOR MOVING AVERAGE MODEL BY VECTOR AUTOREGRESSION ⋮ On the distributions of augmented Dickey-Fuller statistics in processes with moving average components ⋮ GARCH Model Estimation Using Estimated Quadratic Variation

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